132 lines
3.2 KiB
Python
132 lines
3.2 KiB
Python
"""
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Backtest related Pydantic schemas.
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"""
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from datetime import date, datetime
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from decimal import Decimal
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from typing import Optional, List, Dict, Any
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from enum import Enum
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from pydantic import BaseModel, Field
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from app.schemas.portfolio import FloatDecimal
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class RebalancePeriod(str, Enum):
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MONTHLY = "monthly"
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QUARTERLY = "quarterly"
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SEMI_ANNUAL = "semi_annual"
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ANNUAL = "annual"
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class BacktestStatus(str, Enum):
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PENDING = "pending"
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RUNNING = "running"
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COMPLETED = "completed"
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FAILED = "failed"
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class BacktestCreate(BaseModel):
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"""Request to create a new backtest."""
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strategy_type: str = Field(..., description="multi_factor, quality, or value_momentum")
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strategy_params: Dict[str, Any] = Field(default_factory=dict)
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start_date: date
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end_date: date
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rebalance_period: RebalancePeriod = RebalancePeriod.QUARTERLY
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initial_capital: Decimal = Field(default=Decimal("100000000"), gt=0)
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commission_rate: Decimal = Field(default=Decimal("0.00015"), ge=0, le=1)
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slippage_rate: Decimal = Field(default=Decimal("0.001"), ge=0, le=1)
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benchmark: str = Field(default="KOSPI")
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top_n: int = Field(default=30, ge=1, le=100)
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class BacktestMetrics(BaseModel):
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"""Backtest result metrics."""
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total_return: FloatDecimal
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cagr: FloatDecimal
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mdd: FloatDecimal
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sharpe_ratio: FloatDecimal
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volatility: FloatDecimal
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benchmark_return: FloatDecimal
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excess_return: FloatDecimal
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class BacktestResponse(BaseModel):
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"""Backtest response with status and optional results."""
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id: int
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user_id: int
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strategy_type: str
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strategy_params: Dict[str, Any]
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start_date: date
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end_date: date
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rebalance_period: str
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initial_capital: FloatDecimal
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commission_rate: FloatDecimal
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slippage_rate: FloatDecimal
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benchmark: str
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status: str
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created_at: datetime
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completed_at: Optional[datetime] = None
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error_message: Optional[str] = None
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result: Optional[BacktestMetrics] = None
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class Config:
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from_attributes = True
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class BacktestListItem(BaseModel):
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"""Backtest item for list view."""
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id: int
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strategy_type: str
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start_date: date
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end_date: date
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rebalance_period: str
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status: str
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created_at: datetime
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total_return: Optional[FloatDecimal] = None
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cagr: Optional[FloatDecimal] = None
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mdd: Optional[FloatDecimal] = None
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class Config:
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from_attributes = True
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class EquityCurvePoint(BaseModel):
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"""Single point in equity curve."""
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date: date
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portfolio_value: FloatDecimal
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benchmark_value: FloatDecimal
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drawdown: FloatDecimal
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class Config:
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from_attributes = True
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class HoldingItem(BaseModel):
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"""Single holding at a rebalance date."""
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ticker: str
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name: str
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weight: FloatDecimal
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shares: int
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price: FloatDecimal
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class RebalanceHoldings(BaseModel):
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"""Holdings at a specific rebalance date."""
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rebalance_date: date
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holdings: List[HoldingItem]
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class TransactionItem(BaseModel):
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"""Single transaction."""
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id: int
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date: date
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ticker: str
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name: str | None = None
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action: str
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shares: int
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price: FloatDecimal
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commission: FloatDecimal
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class Config:
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from_attributes = True
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